Author
Listed:
- Adeniyi Adeosun, Opeoluwa
- Anagreh, Suhaib
- Tabash, Mosab I.
- Adedokun, Adebayo
Abstract
The paper revisited the connectedness between oil prices (ROILP), economic policy uncertainty (EPU), and geopolitical risks (GPR) in the BRICS countries using data from January 1997 to October 2022. The study applied the spillover index, a rolling window based on the generalized VAR framework, and a wavelet coherence approach to investigate the passthrough, multiple regime changes, co-movements, and lead-lag status between the series. The study found that oil prices were a significant transmitter of shocks to other variables in the system among countries, with Brazil having the highest spillover index (11.7%) followed by South Africa (10.5%), India (10.2%), China (9.5%), and Russia (9.2%). The rolling spillover from GPR to ROILP suggested that GPR had a varying spillover effect on real oil prices in the BRICS economies, with Russia and India experiencing relatively stronger effects compared to the other countries. The spillover from EPU to ROILP showed that Brazil and China recorded significant increases in spillover effects, both respectively reached peaks of 54% and 61% suggesting their vulnerability to EPU and its impact on real oil prices during economic stress. The wavelet coherence largely revealed mixed directions of co-movement and heterogeneity between ROILP and EPU (GPR) across countries, indicating that the relationship between the variables was not consistent, varied over time and scale. Different from previous studies, the analysis focused on the direction of the spillover between oil prices and uncertainty measures, then estimated the numerical amount of the spillover to discover the variable that gave more shock than it received. While the wavelet coherence identified variations in coherence, across the time and frequency domain, the adoption of the rolling-window technique enabled the capture of the influence of arbitrary multiple regime changes in the spillover. The findings had some policy implications.
Suggested Citation
Adeniyi Adeosun, Opeoluwa & Anagreh, Suhaib & Tabash, Mosab I. & Adedokun, Adebayo, 2023.
"Revisiting the connectedness between oil prices and uncertainty indicators in BRICS countries,"
Resources Policy, Elsevier, vol. 86(PA).
Handle:
RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009893
DOI: 10.1016/j.resourpol.2023.104278
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009893. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/30467 .
Please note that corrections may take a couple of weeks to filter through
the various RePEc services.